Skewness Preference and Measurement of Abnormal Returns: A Comparative Evaluation of Current vs Proposed Event Study Paradigm

54 Pages Posted: 10 Sep 2004

See all articles by Suchi Mishra

Suchi Mishra

Florida International University (FIU) - Department of Finance

Arun J. Prakash

Florida International University (FIU) - Department of Finance; Florida International University

Gordon V. Karels

University of Nebraska at Lincoln - Department of Finance

Date Written: March 5, 2003

Abstract

This study investigates the implications of recognizing skewness preference in the computation of abnormal returns. Replicating the Fama, Fisher, Jensen and Roll study on stock split on a recent data set with a few distinct event study techniques, this study finds that recognition of skewness preference as defined by Kraus and Litzenberger (1976) in the computation of the abnormal returns significantly changes the results in comparison to the results that have been obtained without recognizing skewness.

Keywords: Co-skewness, three moment CAPM, event studies, Kraus and Litzenberger, preference, abnormal returns, comparative evaluation, event study

JEL Classification: G14

Suggested Citation

Mishra, Suchismita and Prakash, Arun Jai and Karels, Gordon V., Skewness Preference and Measurement of Abnormal Returns: A Comparative Evaluation of Current vs Proposed Event Study Paradigm (March 5, 2003). Available at SSRN: https://ssrn.com/abstract=513082 or http://dx.doi.org/10.2139/ssrn.513082

Suchismita Mishra (Contact Author)

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Arun Jai Prakash

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Florida International University ( email )

Miami, FL 33199
United States

Gordon V. Karels

University of Nebraska at Lincoln - Department of Finance ( email )

Lincoln, NE 68588-0490
United States

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